Credit Suisse plans return enhanced notes tied to ETF basket, S&P 500

By Marisa Wong

Morgantown, W.Va., Aug. 23 – Credit Suisse AG, London Branch plans to price return enhanced notes due Sept. 13, 2017 linked to the upside return of an equally weighted basket consisting of three exchange-traded funds and the downside return of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The ETF basket consists of the Health Care Select Sector SPDR fund, the Technology Select Sector SPDR fund and the Consumer Discretionary Select Sector SPDR fund.

The payout at maturity will be par plus the upside return plus the downside return, subject to a maximum return that is expected to be 18% and will be set at pricing.

The upside return will be 120% times the basket return, subject to a floor of zero. The exact upside participation rate will be set at pricing.

The downside return will be the return of the S&P 500, subject to a cap of zero. Because the downside return will never be greater than zero, investors will not benefit from any appreciation in the index.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

The notes will price on Aug. 26.

The Cusip number is 22548QF67.

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